Intraday Momentum : The First Half-Hour Return Predicts the Last Half-Hour Return

Our research on data for the S&P 500 ETF from 1993-2013 documents an intraday momentum pattern: the first half-hour return on the market (from the previous day's close) predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. This intraday momentum is also strong for ten other most actively traded domestic and international ETFs. The trading behavior of daytraders and informed traders seems to be the driving force behind the intraday momentum